How did you install the app and how are you trying to uninstall it? Are you getting an error message?
A while back I had an app (I forget the name) that I installed via the Android Market on my phone. When I went to My Apps and uninstalled it, nothing happened, the app stayed there. I ended up going to Settings --> applications --> manage applications and uninstalling from there.
I assume it was a temporary glitch with the Market. So, you could wait a while and try uninstalling from the Market (if you installed from the Market) or go to settings and uninstall it there.